Risk Budgeting: Portfolio Problem Solving with Value-At-Risk: 74 (Wiley Finance) - Hardcover

Pearson, Neil D.; Pearson, JR. Fre; Pearson, Jr. Fre

Hardcover

ISBN 10: 0471405566 ISBN 13: 9780471405566

Verlag: John Wiley & Sons, 2002

Inhaltsangabe

Páginas:340Géneros:12:KFF:Finance12:KFFM:Investment&securities12:KFC:AccountingSinopsis:

Über diesen Titel

Reseña del editor:

Covers the hottest topic in investment for multitrillion pension market and institutional investors Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

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Praise for Risk budgeting

"Professor Pearson has raised the bar for books on market risk. Moving beyond descriptions of VaR calculation and stress testing, he provides careful discussions of both the refinements and the limits of the VaR technique. Even more importantly, this book provides structure to the heretofore vague idea of 'risk budgeting.' "
-Charles Smithson, Managing Partner, Rutter Associates

"Pearson has written an excellent resource for risk management practitioners who actually need to compute and use VaR. Numerous concrete examples make a broad range of VaR techniques accessible to the people who actually need to use them. The book also provides tangible applications of risk budgeting, a term often used but rarely made relevant. Pearson has put meat on the bones for plan sponsors who want to actually employ risk budgeting techniques."
-Bennett Golub, Co-head of Risk Management and Analytics,
Founding Partner, BlackRock

"An excellent book. This text provides a bridge from the theoretical to the practical, and clears the fog between the buzzwords of risk budgeting and the realities of a useful new portfolio management tool. Pearson's writing is well balanced between needed academic foundation and the practicalities of managing portfolios."
-Rob Roy, Director, Cash and Investments, Adventist Health System

"I just wish I could summarize this book as ably as Professor Pearson summarizes the voluminous literature on Value-at-Risk. Unfortunately, I suspect no further compression is possible. To reduce the risk of reading rubbish, your best bet is to read this book."
-Dr. Peter Carr, Senior Consultant, Risk Capital Management

Über diese Auflage

• Verlag: John Wiley & Sons
• Erscheinungsdatum: 2002
• ISBN 10: 0471405566
• ISBN 13: 9780471405566
• Einband: Tapa dura
• Anzahl der Seiten: 340